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January 24, 2010   Posted in: Articles On Building Wealth  4 Comments

Three Current Trading Systems – Buys and Sells and YTD Returns

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This excerpt is for educational purposes only and is not to be interpreted as trading or investment advice.  See Terms Of Use here.

Two years ago I wrote an article on seven different trading systems, their detail and their results over the last 13 years.  More recently, I revisited those trading systems and tested the last two years of out-of-sample data (a timeframe that the trading systems had never been tested on before, to see if they work correctly).

The results were very interesting – almost all of them still held up, although they had differing levels of success.

So I’ve chosen two of the trading systems –

  • The Moving Average Channel: a slower, longer term trading system
  • The “Leap of Faith” Trading System: a faster trading system that trades gaps (as long as the market is moving up), and;
  • My own personal, weekly trading system: based on Dow’s trend theory, Gann’s trend theory, and tested for robustness using Amibroker over 15 years and 1000 different random simulations.

It’ll be a lot of fun!  Check out the signals generated each week (I will post them below) and follow along to see the ultimate test in Out of Sample data.

Don’t forget to leave a comment below if you enjoyed!

Please note scan results are posted for information and educational value only.

Moving Average Channel Trading System Scan:

Ticker Scan Signal Date Close
SMX Sell 17/11/2015 3.41

Leap of Faith (Gaps Trading System) Scan:

Ticker Scan Signal Date Close
MQG Buy 19/11/2015 82.47
TNE Buy 19/11/2015 3.97
BAP Buy 19/11/2015 3.94
BOQ Buy 19/11/2015 14.35
BSL Buy 19/11/2015 4.37
BXB Buy 19/11/2015 10.85
CPU Buy 19/11/2015 11.57
CSL Buy 19/11/2015 98.1
EVN Buy 20/11/2015 1.3
GMG Buy 19/11/2015 6.16
TME Buy 19/11/2015 3.56
UGL Buy 19/11/2015 2.6
MTU Buy 19/11/2015 10.59
NST Buy 20/11/2015 2.65
OFX Buy 19/11/2015 3.38
PMV Buy 19/11/2015 13.7
RHC Buy 19/11/2015 67.98
SPK Buy 20/11/2015 3.03
SUN Buy 19/11/2015 13.38
GPT Sell 16/11/2015 4.43
BAP Sell 16/11/2015 3.6
AST Sell 16/11/2015 1.41
SRX Sell 16/11/2015 37.2

Charles Dow and W.D. Gann Trading System Scan:

Ticker Scan Trade Date Close
TGR Buy 20/11/2015 4.46
ALL Buy 20/11/2015 9.67
API Buy 20/11/2015 2.04
SRX Buy 20/11/2015 39.31
SGF Buy 20/11/2015 3.52
BTT Buy 20/11/2015 12.63
RIC Buy 20/11/2015 1.5
CGF Buy 20/11/2015 8.78
COH Buy 20/11/2015 93.57
CSL Buy 20/11/2015 98.27
RCG Buy 20/11/2015 1.5
MYX Buy 20/11/2015 1.205
IFL Buy 20/11/2015 9.65
MTR Buy 20/11/2015 4.45

Happy trending,

Dave McLachlan

November 22, 2015  Tags: , , , , , , , , ,   Posted in: Trading Diary  2 Comments

Seven Full Trading Systems Revisited, With Completely New Data


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This excerpt is for educational purposes only and is not to be interpreted as trading or investment advice.  See Terms Of Use here.

Seven Full Trading Systems Revisited, With Completely New Data

Two years ago, I wrote a post on 7 profitable trading systems that were coded simply using the cheap-but-powerful program Amibroker.

Although basic, they still yielded some good results, and certainly spawned some great discussion as well.  At the time, they were created AND tested over the previous 13 years only – what is known as “in sample” data.  An excellent question was raised by Thomas as to whether Out of Sample data would be used to test properly.   I had to answer “No”, because I didn’t do the right thing and leave at least a year at the end of the tests for out of sample testing!

But here’s the good news – it’s now two years later, and we have two full years of completely out of sample data to re-test and revisit these trading systems on!  Add to the the fact that instead of one back-test, I used 1000 random tests in a Monte Carlo arrangement to get the full picture.  At the very least, it is extremely interesting, as we can see which systems made the grade, which ones fell to the wayside and which ones, if any, completely tanked.  It’s a great lesson in testing properly.

Check it out and leave a comment below!

Click on the images to enlarge.  All systems were tested using Monte Carlo testing, of 1000 different random versions of the same trading system over the last two years (completely Out of Sample data).  The pictures show the range of results in a Histogram, and a Scatter Plot of the Annual Return versus the maximum drawdown.  The previous article covered the previous 13 years of system testing.

  1. Highest High Trading System                   2. MA Channel Trading System

01 Highest High                                        Moving Average Channel

3. Bollinger Band Trading System                 4. MA Crossover Trading System

Bollinger Band Trading System                                    Moving Average Crossover Trading System

5. Sell in May Trading System              6. Leap of Faith Trading System

Sell in May Trading System                                 Leap of Faith (Gaps Trading) System

7. MA Up MA Down Trading System

MA up MA Down trading system

Please leave a comment below, if you enjoyed :).  Happy trending,

Dave McLachlan

November 22, 2015  Tags: , , , , , , , , , ,   Posted in: Amibroker Trading System  No Comments

Amibroker Q &A: How to Create the 52 Week High/Low Index with AddToComposite


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Amibroker Q & A: Using AddToComposite to Create the 52 Week High/Low Index

This week’s question comes from Richard on Twitter, who would like to look at the AddToComposite function in Amibroker.

This function is very cool – it allows us to create our own index, and even turn it into an indicator.

In this video we create the 52 week High/Low index, which shows us how many stocks are making new 52 week highs or lows, and we plot it in our very own indicator so we can look for divergences.  Dr Alexander Elder introduced this concept to the wider world in his book “Trading for a living”, with the idea that if the indicator is moving up, but our 52 week high.low index is moving down, it might be a chance to sell (and vice versa).

Check out the video below, and please leave a comment at the bottom!

Happy Trending,

Dave McLachlan

November 22, 2015  Tags: , , , ,   Posted in: Amibroker Q & A  No Comments

Stock Market Research: The REAL Effect of “Buy and Hold”

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The Statistics Behind 1000 Random Buy and Hold Portfolios

Many times you will hear the talking heads on CNN or even your local financial planner, stock broker or accountant shouting the benefits of a “hands off” approach to investing in the stock market.

Simply buying and holding a stock for long periods of time is an approach often shunned by traders, advocated by Financial Planners, and hidden by Stock Brokers (who obviously want you to trade more and pay their brokerage fees).

But what are the real ramifications of Buy and Hold?  Using powerful technology now available to the common investor through Amibroker, I was able to create the effect of 1000 different random buy and hold portfolios over the last 15 years.

Then, with a little statistics knowledge, we can see the range of results, and the most common annual return using a histogram.  With a scatter plot, we can also see the maximum drawdowns, versus the annual returns.

The results are amazing, and may surprise you.

Essentially, we see that even though an Index (like the S&P 500 or the All Ordinaries Index) might return only 3% per year over time, a portfolio of stocks themselves will return a larger amount – even when completely random.

The range of results over 15 years was 8% to 16% annual returns.  This is quite a feat, considering it is without doing a single thing except buying the stocks initially.

The only caveat to a buy and hold strategy (and one that the talking heads on TV won’t tell you) is that every single portfolio bar none experienced an average of a 70% loss in their overall portfolio at some point, before it recovered to new highs again.

So, as long as you can stomach that kind of drawdown, then an easy and moderately powerful approach to the markets could very well be: “Buy and Hold”.

Happy trending!

Dave McLachlan


November 15, 2015  Tags: , , , , , ,   Posted in: Amibroker, Stock Market Research  No Comments

Amibroker Q & A: Visualising Monte Carlo Data with Histograms and Scatter Plots


Following on from our previous Amibroker Q & A where Andrew asked how to do a Monte Carlo test in Amibroker (or 1000 different versions of the same trading system) – we looked at how to do it in all previous versions of Amibroker (not the current, automatically included way in up-to-date Amibroker versions).

We found out how to get the Monte Carlo test data using a little bit of Amibroker Formula Language in the previous video.

Now we are going to visualise the data – make it easily accessible so we can see our important results at a glance.  We’ll do this by creating a Histogram, that shows us our minimum return, maximum return, and our most common return.

We’ll also look at a Scatter Plot, which shows our average annual returns versus our maximum drawdowns.

Using these statistics is a great way to see if our Trading System might stand the test of time.  It is way more effective than a single back-test, and can take our trading and investing knowledge to a new level.

Happy trending,

Dave McLachlan

November 15, 2015  Tags: , , , , , ,   Posted in: Amibroker Q & A  No Comments